There are some conceptual issues with what we learned happened after they sent him back, but I assume that it happened because the Borg didn't realize that he'd been changes, and just stuck him back into the collective instead of going through some process of re-assimilating him. Whatever issues there are with this having such catastrophic effects for them aren't any worse than the concept of killing the Borg by showing them some weird picture.
I think the fact that they didn't decide to try and convert all the Borg in First Contact isn't really inconsistent. It was war and the situation was too desperate. In a war you might have plans to treat the enemy benevolently in victory, you might hope they'll be future allies, you might refuse to put bombs in wounded pows and return them in a prisoner exchange so that you can deviously blow up their base, but that doesn't mean that you won't kill them.
It's also not clear that The Borg Queen is a normal Borg who can be saved, although I think we might learn that in a Voyager episode that I disliked and have mostly forgotten.
I, Borg is a great episode, but unfortunately when I downloaded it my laptop started trying to analyze that paradox drawing and it destroyed my computer.
Also, it's kind of outdated. Nowadays it seems tame and boring. It would be more relevant to today's audience if it had a graphic scene of somebody screaming as their eye got ripped out like it was Star Trek: Hostel or something, and then their best friend came in and euthanized them with a phaser because there's no way to recover from such an injury using only 24th century technology.